IT Options History — September 2019

In September 2019, IT traded between $132.58 and $143.72. ATM implied volatility averaged 22.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.6% (HV 20d: 18.8%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.79.

Notable Days

2019-09-16: Highest Volume — 364 contracts
2019-09-09: Largest IV spike — 8.9% change
2019-09-03: Highest IV Rank — 30.7%
2019-09-03: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$139.11	$132.58	$143.72	$132.58	$142.90
Max Pain	$134.00	$130.00	$140.00	$135.00	$140.00
ATM IV	22.4%	20.9%	24.6%	24.6%	21.8%
Expected Move	6.4%	6.0%	7.0%	7.0%	6.2%
HV 20d	18.8%	16.9%	20.7%	19.6%	18.2%
HV 60d	47.8%	47.3%	48.2%	47.3%	47.9%
IV Rank	23.9%	19.1%	30.7%	30.7%	21.8%
IV Percentile	37.7%	27.8%	46.4%	46.4%	32.1%
Term Structure	5.2%	-0.6%	9.2%	-0.5%	9.2%
VWIV	23.2%	21.0%	28.6%	28.6%	25.2%
Skew 25d	2.9%	2.2%	3.6%	3.6%	2.9%
Skew 10d	6.5%	5.2%	7.4%	7.4%	5.9%
Call IV 25d	21.5%	20.1%	24.1%	24.1%	21.4%
Put IV 25d	24.4%	22.6%	27.6%	27.6%	24.3%
Bid-Ask Spread %	69.29	58.71	81.42	70.89	81.42
Gamma HHI	0.24	0.15	0.35	0.29	0.15
Net GEX	487.1K	177.3K	860.5K	279.8K	230.6K
Net DEX	-3.9M	-13.4M	3.2M	3.2M	-2.6M
Net VEX	-55.3K	-63.3K	-50.4K	-60.0K	-51.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.00	16.20	1.31	2.00
Total Volume	115.05	12	364	185	69
Total OI	4,595.9	2,639	5,659	5,215	2,841

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-09-03	$132.58	$135.00	24.6%	7.0%	19.6%	30.7%	28.6%	3.6%	-0.5%	279.8K	3.2M	-60.0K	1.31	70.89	80	105	3,261	1,954
2019-09-04	$134.83	$135.00	23.9%	6.9%	20.3%	28.6%	25.2%	2.8%	-0.6%	489.4K	-476.7K	-63.3K	1.09	74.51	33	36	3,290	2,032
2019-09-05	$137.02	$130.00	22.5%	6.5%	20.7%	24.2%	21.8%	3.4%	4.3%	643.7K	-3.4M	-62.3K	0.79	58.71	47	37	3,262	2,013
2019-09-06	$137.47	$130.00	21.3%	6.5%	19.6%	20.4%	21.7%	2.6%	4.2%	732.9K	-4.4M	-61.1K	0.62	62.82	21	13	3,272	1,992
2019-09-09	$137.00	$130.00	23.2%	6.6%	19.0%	26.4%	24.7%	3.0%	4.2%	717.2K	-3.7M	-58.1K	0.75	61.94	92	69	3,281	1,989
2019-09-10	$134.06	$130.00	23.1%	6.5%	19.4%	26.1%	22.1%	2.8%	4.6%	473.6K	1.4M	-56.2K	1.47	62.68	49	72	3,314	2,032
2019-09-11	$136.26	$130.00	22.7%	6.5%	20.0%	24.9%	21.7%	2.7%	4.7%	617.1K	-1.9M	-57.0K	0.05	62.59	82	4	3,308	2,049
2019-09-12	$137.84	$130.00	21.5%	6.2%	19.7%	21.2%	21.5%	2.2%	4.9%	852.5K	-5.0M	-57.0K	0.60	65.00	20	12	3,339	2,045
2019-09-13	$136.97	$130.00	22.1%	6.3%	19.7%	22.9%	21.2%	2.3%	4.9%	809.0K	-3.6M	-55.1K	0.30	65.76	43	13	3,341	2,045
2019-09-16	$138.57	$130.00	22.7%	6.5%	18.8%	24.8%	24.8%	3.0%	4.2%	860.5K	-6.5M	-53.3K	1.87	67.93	127	237	3,347	2,033
2019-09-17	$139.19	$130.00	22.7%	6.5%	18.1%	24.8%	23.8%	2.6%	4.3%	757.2K	-7.3M	-55.0K	0.37	69.31	43	16	3,394	2,230
2019-09-18	$139.26	$130.00	22.3%	6.4%	18.1%	23.5%	22.3%	2.8%	4.6%	577.9K	-7.4M	-53.0K	0.00	70.99	12	0	3,390	2,224
2019-09-19	$140.08	$130.00	21.2%	6.1%	18.2%	20.2%	21.2%	2.5%	5.5%	472.1K	-8.8M	-52.2K	0.57	70.85	56	32	3,397	2,224
2019-09-20	$143.60	$140.00	20.9%	6.0%	19.7%	19.1%	21.5%	2.8%	5.8%	191.2K	-13.4M	-53.5K	0.18	71.21	199	35	3,410	2,249
2019-09-23	$142.71	$140.00	21.3%	6.1%	17.5%	20.5%	21.0%	3.1%	8.2%	177.3K	-2.7M	-51.9K	0.13	73.86	62	8	1,492	1,152
2019-09-24	$142.93	$140.00	22.7%	6.5%	17.1%	24.8%	23.8%	3.2%	7.5%	196.3K	-2.8M	-52.2K	0.02	74.28	65	1	1,521	1,175
2019-09-25	$143.72	$140.00	22.0%	6.3%	16.9%	22.5%	27.1%	2.9%	8.1%	226.1K	-3.4M	-51.5K	5.17	71.74	41	212	1,519	1,174
2019-09-26	$143.72	$140.00	21.8%	6.3%	17.0%	22.1%	21.5%	2.8%	8.5%	252.6K	-3.7M	-50.4K	2.31	75.34	26	60	1,530	1,109
2019-09-27	$141.56	$140.00	23.6%	6.8%	18.3%	27.7%	23.4%	3.3%	7.8%	186.0K	-1.7M	-51.7K	16.20	73.96	10	162	1,520	1,168
2019-09-30	$142.90	$140.00	21.8%	6.2%	18.2%	21.8%	25.2%	2.9%	9.2%	230.6K	-2.6M	-51.5K	2.00	81.42	23	46	1,521	1,320